So, it looks like I will have to live with this.
I have worked other editors also (vim, netbeans, etc.) and other software also but I never noticed this kind of thing - greying out selection if the edit pane is not in focus.
May be some other editors also do it but it looks like they don't make it grey, but some other color so that the selected text is still visible and that's why I didn't notice it.
So, in my opinion, I think Scintilla chose the wrong color because, in most of the cases, the text is black. May be they should have chosen light blue.
Regards, Amit